[bobdihi (OP)]

Oxygen is the third most abundant element in the cosmos, after hydrogen and helium. So far I know you can't breath on Mars and the Moon. So where is all the oxygen hiding?

[Kryptid]

It's mostly bound up in the form of chemical compounds such as water (usually water vapor or ice) and oxide minerals (like quartz, hematite, corundum and the like).

[evan_au]

There is a lot of silicate minerals (n x SiO₂ + other atoms) on the Earth, Moon, Mars and asteroids. In this wide range of crystal structures, the Oxygen actually takes up more space than the Silicon.

Mars' orange/red color comes from iron oxide.

As well as water ice (H₂O), comets have a lot of oxygen bound up in the form of Carbon dioxide (CO₂) and Carbon Monoxide (CO).

It's only on the gas giants like Jupiter and Saturn where they have retained enough Hydrogen and Helium to take up more space than the Oxygen.

[Janus]

Oxygen is the third most abundant element in the cosmos, after hydrogen and helium. So far I know you can't breath on Mars and the Moon. So where is all the oxygen hiding?

As already mentioned, it is bound up with other elements.  The fact that the Earth's atmosphere contains free oxygen is due to the presence of life. Photosynthesizing plants release it as a byproduct of their metabolism. If it weren't for this ongoing active production, the free oxygen in our atmosphere would not last long either.

[Ophiolite]

Oxygen is the third most abundant element in the cosmos, after hydrogen and helium. So far I know you can't breath on Mars and the Moon. So where is all the oxygen hiding?

Given that it is the second most abundant element making up the Earth I don't think we should describe it as hiding. The bulk of the Earth's mass is present in the silicate mantle that, as pointed out by evan_au, contains abundant oxygen. It's almost as abundant, to a % or two, as iron.